There is a kind of halfway step. Anyone who is lucky enough to live in a town with a carnival, a love parade, a gay pride rally, depending on your sexuality, has an opportunity to dress and behave in a way which might raise questions at any other time. If I see someone on a leash at an event of this kind, even with my tastes, I am less likely to see it as anything unusual than if it was an ordinary Saturday around the shops. Many other people are dressed exotically, and to some degree you feel transported to a different place anyway. That is one thing about carnival, the rules are supposed to be turned on their head. I guess it will vary between cities, but it might be a good first step if you want to try something in public without everything coming down on your head.